Table 4 Barrier hump test Series M0.01...

Table 4

Barrier hump test

Series	M0.01 (l = −1) (0.1’s digits)	M0.1 (l = 0) (1’s digits)	M1 (l = 1) (10’s digits)	M10 (l = 2) (100’s digits)	M100 (l = 3) (1,000’s digits)
Stock market indices
OMX Riga	–	−6.5E−06	−7.1E−06	9.2E−06	0.013**
OMX Tallinn	–	1.2E−05	−1.7E−05	−0.0001***	0.0001
OMX Vilnius	–	−2.8E−05	−3.1E−05	0.0002***	–
Individual stocks
AS LHV Group	0.002***	0.0002**	–	–	–
Coop Pank AS	0.0004	0.0004***	–	–	–
Enefit Green AS	0.001***	0.0003***	–	–	–
Ignitis Grupe AB	0.003	0.0004	0.001***	–	–
Merko Ehitus	0.005	0.0002	0.0005	–	–
Siauliu Bankas	0.003**	–	–	–	–
Tallink Grupp	−0.0004	0.004***	–	–	–
Tallinna Kuabamaja Grupp	0.001	7.3E−05	–	–	–
Tallinna Sadam	−0.0006	0.0007***	–	–	–
Telia Lietuva	−0.001	0.001***	–	–	–

Series	M0.01 (l = −1)(0.1’s digits)	M0.1 (l = 0)(1’s digits)	M1 (l = 1)(10’s digits)	M10 (l = 2)(100’s digits)	M100 (l = 3)(1,000’s digits)
Stock market indices
OMX Riga	–	−6.5E−06	−7.1E−06	9.2E−06	0.013**
OMX Tallinn	–	1.2E−05	−1.7E−05	−0.0001***	0.0001
OMX Vilnius	–	−2.8E−05	−3.1E−05	0.0002***	–
Individual stocks
AS LHV Group	0.002***	0.0002**	–	–	–
Coop Pank AS	0.0004	0.0004***	–	–	–
Enefit Green AS	0.001***	0.0003***	–	–	–
Ignitis Grupe AB	0.003	0.0004	0.001***	–	–
Merko Ehitus	0.005	0.0002	0.0005	–	–
Siauliu Bankas	0.003**	–	–	–	–
Tallink Grupp	−0.0004	0.004***	–	–	–
Tallinna Kuabamaja Grupp	0.001	7.3E−05	–	–	–
Tallinna Sadam	−0.0006	0.0007***	–	–	–
Telia Lietuva	−0.001	0.001***	–	–	–

Note(s): Table 4 shows the estimates of γ in the regression f(M) = α + ϕM + ϒM² + η, where f(M), the frequency of appearance of each M-values, is regressed on M-value itself and its square. ** and *** indicates significance at the 5 and 1% level, respectively

Source(s): Authors' own creation

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